A Chinese Stock Screen Using Price Amplitude, Moving Averages, and Turnover

Summary

This Chinese-language post describes an equity screening rule that combines price amplitude above a threshold, an upward relationship among current price and five-day moving-average values, and a prior-day actual turnover range of 3% to 28%. The stated rationale is to seek volatile, actively watched stocks with liquidity and possible short-term upside. It notes that the turnover filter was added to an earlier screen and suggests adjusting thresholds or adding technical and fundamental measures.

The post flags market volatility and the possibility that a rising-average screen can overlook stocks with elevated technical or fundamental measures. It includes indicator and Python examples, but their implementation does not fully match the stated rule: the code uses a price change over two sessions as a proxy for turnover and adds valuation and market-cap filters. These discrepancies make the examples unsuitable as a faithful specification without correction. The document offers no backtest results or evidence that the screen predicts returns, so the proposed upside rationale remains unvalidated.

Key ideas

• The stated screen combines price amplitude, a rising five-day moving-average relationship, and a prior-day turnover band.
• The rationale is to focus on volatile and relatively liquid stocks with possible short-term upside.
• The post warns that volatile names can carry substantial market risk.
• The code examples use price-change filters and additional criteria that differ from the written turnover rule.
• No performance testing is reported, so the screen's predictive value is unknown.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.